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Exact asymptotic behavior is given for high excursion probabilities of Gaussian processes in discrete time as the corresponding lattice pitch unboundedly decreases. The proximity of the asymptotic behavior to that… Click to show full abstract
Exact asymptotic behavior is given for high excursion probabilities of Gaussian processes in discrete time as the corresponding lattice pitch unboundedly decreases. The proximity of the asymptotic behavior to that in continuous time is discussed. Examples are given related to fractional Brownian motion and the corresponding ruin problem.
Keywords:
discrete time;
time;
processes discrete;
gaussian nonstationary;
excursions gaussian;
high excursions
Journal Title: Journal of Mathematical Sciences
Year Published: 2021
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Journal Title: Journal of Mathematical Sciences
Year Published: 2021
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!